Vrp Turnover Corrected
In plain terms
Eksi-Roy (2025): the single-name VRP (realized minus implied vol spread) is contaminated by turnover-driven transient realized-vol shocks; applying a mean-reversion correction to realized vol and/or excluding abnormal-turnover names raises Backtest uses pre-2023 options history while the live options feed is being rebuilt.
How it works
Eksi-Roy (2025): the single-name VRP (realized minus implied vol spread) is contaminated by turnover-driven transient realized-vol shocks; applying a mean-reversion correction to realized vol and/or excluding abnormal-turnover names raises VRP-strategy returns by ~42%. Refinement on single_name_variance_risk_premium: compute RVol-IVol, then down-weight or filter names whose 21d turnover (dollar-vo
Data dependencies
- Options chain daily
End-of-day OPRA option chains used by IV-skew family.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Tested over
- Modern daily equity data
risk-premium premium; decay risk 3/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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